Microstructural biases in empirical tests of option pricing models
β Scribed by Patrick Dennis; Stewart Mayhew
- Publisher
- Springer US
- Year
- 2009
- Tongue
- English
- Weight
- 293 KB
- Volume
- 12
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Alcock and Carmichael (2008, __The Journal of Futures Markets__, 28, 717β748) introduce a nonparametric method for pricing Americanβstyle options, that is derived from the canonical valuation developed by Stutzer (1996, __The Journal of Finance__, 51, 1633β1652). Although the statistica
This article examines the out-of-sample pricing performance and biases of the Heston's stochastic volatility and modified Black-Scholes option pricing models in valuing European currency call options written on British pound. The modified Black-Scholes model with daily-revised implied volatilities p
This paper reports several entirely new results on ΓΏnancial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop a ne
## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc BlackβScholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)